A Nonparametric Prewhitened Covariance Estimator

DOI10.1111/1467-9892.00263zbMATH Open1062.62212OpenAlexW3123935455MaRDI QIDQ4677004FDOQ4677004

Authors: Zhijie Xiao, Oliver Linton 

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00263

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zbMATH Keywords

spectral densitiesmultivariate time series modelsnonparametric prewhitened covariance estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Title not available (Why is that?)
• A multiplicative bias reduction method for nonparametric regression

Cited In (9)

• Prewhitened long-run variance estimation robust to nonstationarity
• Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
• A Modified Nonparametric Prewhitened Covariance Estimator
• The block-block bootstrap for time series
• Title not available (Why is that?)
• Non-parametric confidence intervals for covariance and correlation
• Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval

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